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www.ccruncher.net/
Alternative text: credit VaR
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Open-source project for credit risk modeling
Credit Risk Modeling, Sectorial Correlation, Multi-factor Model, Gaussian Copula, T-Student Copula, Monte Carlo, VAR, Value at Risk, CVaR, Expected Shortfall, Ratings, Transition Matrix, Open Source, creditvar, copula approach, risk sensitivity, portfolio optimization
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